my mac wont let me open an application after it download

so once i have downloaded an application such as a music download site it successfully downloads but when i try to open it to install it this is exactly what it says(Safari can’t open the file “BlubsterSetup.exe” because no available application can open it.) blubster is the name of the site i tried to download...and then when i click help this is what pops up..

#1.Safari can open a downloaded file only if it's in the download location specified in the General pane of Safari preferences. If you move the file or change the download location after downloading a file, Safari cannot open it.

#2.Safari can open a downloaded file only if there is an application available to open it. Mac OS X includes applications that open many types of files including text, image, sound, and PDF files. However, to open some files you might need to install the application used to create the files on your computer.

#3.The file is still downloading. Wait for the file to finish downloading, then try opening it.
The file didn't finish downloading because you stopped the download. Resume downloading the file, then try opening it.
The file didn't download completely because of a problem or the file was damaged. Try downloading the file again.

i think it may be #2 cause all the others dont apply......thanks